Optimal Investment in a Levy Market

In this paper we consider the optimal investment problem in a market where the stock price process is modeled by a geometric Levy process (taking into account jumps). Except for the geometric Brownian model and the geometric Poissonian model, the resulting models are incomplete and there are many equivalent martingale measures. However, the model can be completed by the so-called power-jump assets. By doing this we allow investment in these new assets and we can try to maximize the expected utility of these portfolios. As particular cases we obtain the optimal portfolios based in stocks and bonds, showing that the new assets are superfluous for certain martingale measures that depend on the utility function we use.     

Dispersion Characteristics of Waveguide Arrays in Optical Spectrum Analyzers

Formulas for calculating the spectral characteristics of waveguide arrays, which are incorporated into waveguide spectrum analyzers based on planar waveguides, channel waveguides, and fiber optical waveguides, are derived taking into account the contribution of both the waveguide dispersion and the material dispersion to the dispersion factor. These formulas are used to study the dependence of the dispersion factor on the waveguide-system parameters for specific models of waveguide arrays. It is shown that consideration of contributions of the waveguide dispersion and material dispersion can affect profoundly the spectral characteristics of waveguide arrays.     

Incubation period in the 2,2,4,4‐tetramethyl‐1‐piperidinyloxy‐mediated thermal autopolymerization of styrene: Kinetics and simulations

Mechanisms and simulations of the induction period and the initial polymerization stages in the nitroxide‐mediated autopolymerization of styrene are discussed. At 120–125 °C and moderate 2,2,4,4‐tetramethyl‐1‐piperidinyloxy (TEMPO) concentrations (0.02–0.08 M), the main source of radicals is the hydrogen abstraction of the Mayo dimer by TEMPO [with the kinetic constant of hydrogen abstraction (k_h)]. At higher TEMPO concentrations ([N?] > 0.1 M), this reaction is still dominant, but radical generation by the direct attack against styrene by TEMPO, with kinetic constant of addition k_ad, also becomes relevant. From previous experimental data and simulations, initial estimates of k_h ≈ 1 and k_ad ≈ 6 × 10^?7 L mol^?1 s^?1 are obtained at 125 °C. From the induction period to the polymerization regime, there is an abrupt change in the dominant mechanism generating radicals because of the sudden decrease in the nitroxide radicals. Under induction‐period conditions, the simulations confirm the validity of the quasi‐steady‐state assumption (QSSA) for the Mayo dimer in this regime; however, after the induction period, the QSSA for the dimer is not valid, and this brings into question the scientific basis of the well‐known expression k_th[M]³ (where [M] is the monomer concentration and k_th is the kinetic constant of autoinitiation) for the autoinitiation rate in styrene polymerization. © 2006 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 44: 6962‐6979, 2006     

A parametric study of surface-discharge nitrogen lasers

A parametric study of sandwich-type discharge chamber nitrogen lasers has been carried out. A non-monotonic dependence of the energy emitted by the laser and the discharge chamber thickness is found. Discharge chambers with = 1 have the best electro-optical efficiency. The ratio between the electrode gap,d, and is found to be a scaling parameter. The possible influence of wall ablation in the comportment is also discussed.     

Analysis of citrates and benzoates used in poly(vinyl chloride) by supercritical fluid extraction and gas chromatography

Supercritical fluid extraction (SFE) has been demonstrated to be a useful tool in the determination of additives in polymeric materials. This paper describes the determination of some citrates and benzoates in poly(vinyl chloride) blended with 33–34% of plasticizer using off-line SFE followed by gas chromatography. Experimental factors affecting SFE have been studied by gravimetric analysis, followed by analysis of the extracts using a gas chromatograph equipped with a flame ionization detector. The extraction process is governed by the solubility of the plasticizers in the supercritical fluid or by their diffusion through the polymer matrix, which depend on the pressure and temperature used. Maximum extraction (>99%) is obtained at pressures and temperatures higher than 40 MPa and 80 °C, respectively. Due to purge losses, the collection efficiency of plasticizers into a liquid solvent ranges from 85 to 90%. The applicability of the SFE method is demonstrated using real samples and comparing the results with those obtained by conventional Soxhlet extraction.     

Pyranopyrazoles. II. Synthesis and reactions of 1H,6H-pyrano[2,3-c]pyrazol-6-ones

Various 1H,6H-pyrano[2,3-c]pyrazol-6-ones (III-XXIII) were obtained from β-keto esters and 1H-pyrazol-5-ones or hydrazines. Nitrations, chlorinations and brominations of these pyranopyrazoles were also carried out giving the corresponding derivatives (XXIV-LXIV). The pyrone ring is the more reactive one in these reactions and the preferred position of attack is the 5-position. The substitution products are formed by the addition-elimination route.     

Electro-initiated cationic polymerizations-VI: Anodic electrochemical behaviour and direct electropolymerization of anethole in 1,2-dichloroethane

A study has been made of the cationic electropolymerization of trans-anethole initiated by a direct electron transfer mechanism at a Pt anode in 1,2-dichloroethane solution with tetrabutylammonium perchlorate as supporting electrolyte. The electrochemical behaviour of the system has been preliminarily investigated by voltammetry at rotating and stationary Pt electrode and also by chronoamperometry. The results are consistent with an ECE oxidation process of anethole with formation first of a radical cation and finally of a dication. Polymerization experiments by electrolysis at the oxidation potential of the monomer have been also carried out both under continuous electrolysis and with short initial pulses of current. The results have been analysed and some kinetic parameters of the system have been evaluated.